Evaluation Project on the effects of engagement
GPIF has conducted a " Evaluation Project on the effects of engagement" and published a report as part of the "Measuring the Effects of Stewardship Activities and ESG Investment Project."
GPIF encourages its equity investment managers to actively engage in constructive dialogues (engagements) that contribute to the long-term enhancement of corporate value. This time, using the records of 26,792 engagements and 48,077 themes conducted by 21 domestic equity investment managers from FY2017 to FY2022 (Note 1), GPIF evaluated the effectiveness of these engagements by applying the Difference-in-Differences (DID) method (※), a method to statistically estimate the effects, including causation. There have been no previous studies that comprehensively analyzed such a large number of funds and dialogues, which could be the first attempt in the world.
As a result of this analysis, for example, the dialogues on "climate change" confirmed the effects of increasing the setting of decarbonization targets and decreasing carbon intensity scope 2. Improvements in corporate value indicators such as PBR and Tobin's Q were also confirmed. Moreover, the dialogues on "Board Structure, Self-evaluation" confirmed an increase in the number of independent outside directors, along with improvements in investment return indicators such as market capitalization and total shareholder return. This indicates that the engagements of asset managers contribute to the sustainable growth of the market.
As an example, the engagements on the theme of "Board Structure, Self-evaluation" suggested the market capitalization of the engaged companies increased by an average of 6% compared to the non-engaged companies. In fiscal 2017, 256 companies engaged in dialogue on this theme, with a total market capitalization of approximately 304 trillion yen (Note 2), equivalent to 47% of the market capitalization of the TOPIX constituent stocks at the time, suggesting that the engagements were extremely effective.
Furthermore, the report clarifies various aspects of the engagements, such as the themes discussed, the types of individuals engaged, and the companies selected for dialogues, by organizing a vast amount of engagement records.
This Evaluation project has demonstrated the significant value of the engagements conducted by the asset managers to date. We will continue to strive, together with the asset managers, to achieve more effective engagement activities in the future.
※ The Difference in Differences (DID) Method is a method to estimate the effects of the treatment to be investigated by identifying and comparing the differences between the pretreatment and post-treatment status of an intervention group (treated group) and a control group (untreated group). In this report, the intervention group consists of companies that were engaged, and the control group consists of companies that were not (Note 3).
(Note 1) For FY2022, data is up to the end of December 2022.
(Note 2) As of the end of March 2018.
(Note 3) In the actual analysis in this report, propensity score matching was used to adjust the treatment groups and control groups to have similar characteristics.